NonlinearTSA (version 0.5.0)

Pascalau_2007_unit_root: Pascalau(2007) nonlinear unit root test function

Description

This function allows you to make Pascalau(2007) nonlinear unit root test

Usage

Pascalau_2007_unit_root(x, case, max_lags, lsm)

Arguments

x

series name,

case

if raw data 1, if demeaned data 2, if detrended data 3

max_lags

maximum lag

lsm

lag selection methods if 1 AIC, if 2 BIC

Value

"Model" Estimated model

"Selected lag" the lag order

"Test statistic" the value of the test statistic

References

Pascalau, R. (2007). Testing for a unit root in the asymmetric nonlinear smooth transition framework. Department of Economics, Finance and Legal Studies University of Alabama Unpublished manuscript.

Burak Guris, R Uygulamal<U+0131> Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.

Examples

# NOT RUN {
x <- rnorm(1000)
Pascalau_2007_unit_root(x, case = 1, max_lags = 6, lsm = 2)


y <- cumsum(rnorm(1000))
Pascalau_2007_unit_root(y, 2, 4, 1)


data(IBM)
Pascalau_2007_unit_root(x = IBM, case = 3, max_lags = 3, lsm = 1)


# }